scientific article
From MaRDI portal
Publication:3119570
zbMath1424.91167MaRDI QIDQ3119570
Leila Khodayari, Mojtaba Ranjbar
Publication date: 12 March 2019
Full work available at URL: http://www.spm.uem.br/bspm/pdf/vol36-1/Art1.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
radial basis functionsEuropean optiondifferential quadraturemulti-dimensional Black-Scholes equation
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- The valuation of foreign currency options under stochastic interest rates
- Penalty methods for the numerical solution of American multi-asset option problems
- The differential quadrature method for irregular domains and application to plate vibration
- An eight-node curvilinear differential quadrature formulation for Reissner/Mindlin plates
- Free vibration analysis of curvilinear quadrilateral plates by the differential quadrature method
- On unsymmetric collocation by radial basis functions
- Differential quadrature and longterm integration
- Differential quadrature: A technique for the rapid solution of nonlinear partial differential equations
- Solution of partial differential equations by a global radial basis function-based differential quadrature method
- COMPARISON OF NUMERICAL SCHEMES ON MULTI-DIMENSIONAL BLACK-SCHOLES EQUATIONS
- Two new approximate methods for analyzing free vibration of structural components
- Scattered Data Interpolation: Tests of Some Method
- Differential quadrature method in the buckling analysis of beams and composite plates
- Application of generalized differential quadrature to solve two-dimensional incompressible Navier-Stokes equations
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- Multigrid for American option pricing with stochastic volatility